This is a summary of links featured on Quantocracy on Wednesday, 08/26/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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The Trajectory of a Crash [Philosophical Economics]Its amazing to think that just last Monday, August 17th, the S&P 500 closed at 2102. Today, it closed at 1868, falling 11.1% in 6 trading days. The shocking speed of the decline has injected a level of fear into markets not scene since the fall of 2011, when the Eurozone debt crisis was reaching its apex. Many traders have referenced 1987 as a paradigm for what might happen in a wor
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Quant-Trader or Trader-Quant? [MKTSTK]The term quant trader gets thrown around a lot these days. For any trader who has been in the industry for more than a decade, the adoption of the term is driven by survival. Theres a running joke in some HFT circles: these days, older traders would never get past HR using the same criteria by which junior traders are hired. Junior traders must be data scientists and traders.
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Let’s talk “Year-to-Date” [Flirting with Models]We have a pretty arbitrary practice in the financial services industry: we reset the performance clock of portfolios to zero every January. Consider this hypothetical scenario: its December and markets are up 20% for the year. They even got a nice 5% pop in the last month. The clock strikes midnight on December 31st. We roll into January and the markets proceed to tumbl
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Super Reliable Backtesting [John Orford]Big 'O' is a measure of many things, with respect to backtesting it helps because results are always ambiguous. Backtesting results are almost iffy for a variety of reasons, but a salient one is the 'day bump' problem. Say, I have a strategy that trades at the 'beginning of every month' and the results look promising. What happens to the results if